$\begingroup$What is your question, do you want help deriving the step? What did you try?$\endgroup$
– Bob Jansen♦Apr 11 at 13:22

$\begingroup$yes exactly I need help to rewrite the innovation term with the parameters A_i, B_i and C_i as functions of X_i. I was able to derive the solution of the process, but don't really know where to start with the rewriting process.$\endgroup$
– 303 Waters PleaseApr 12 at 8:17